Financial Management (Wiley-Blackwell). Autumn2013, Vol. 42 Issue 3, p517-536. 20p.

作者：Peterson David (College of Business, Florida State University), Smedema Adam (College of Business Administration, University of Northern Iowa)

摘要：在已知个股共变的特质波动率（IDVOL）后，我们建立了一个模型来决定总体特质波动率（AIV）是怎样影响含有有限支股票的投资组合的波动率的。在投资组合和横截面检测中，我们发现收益与AIV变动相关性高的股票相较于相关性低的股票有更高的收益。在控制了股票自身的IDVOL和市场波动率后这些结果是稳健的。我们得出结论是：当AIV较高时风险规避的投资者对回报高的股票支付一个溢价，这与我们的模型一致。

Idiosyncratic Volatility Covariance and Expected Stock Returns.

Peterson David (College of Business, Florida State University), Smedema Adam (College of Business Administration, University of Northern Iowa)

ABSTRACT：Given that the idiosyncratic volatility (IDVOL) of individual stocks co-varies, we develop a model to determine how aggregate idiosyncratic volatility (AIV) may affect the volatility of a portfolio with a finite number of stocks. In portfolio and cross-sectional tests, we find that stocks whose returns are more correlated with AIV innovations have lower returns than those that are less correlated with AIV innovations. These results are robust to controlling for the stock's own IDVOL and market volatility. We conclude that risk-averse investors pay a premium for stocks that pay well when AIV is high, consistent with our model.

原文链接：http://web.a.ebscohost.com/ehost/detail/detail?sid=8518acb2-05b3-4ec0-812d-98fadbe9d864%40sessionmgr4006&vid=0&hid=4112&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#db=bth&AN=90336077

翻译：孙雨琦